Reading List
MATH 6490-1, Spring 2007


Reading List has been updated to include material assigned on

May 17 , 2007

All readings will be listed here, organized by topic. Dates indicate the class by which you should have read the indicated material.   Some readings may be announced here before they are announced in class, in case you want to read ahead.   Sometimes, particularly if I am traveling, you may find some references posted at the library class reserves before they are linked here.
If a reading does not have a date, you don't have to worry about it yet.


Fundamentals of Probability Theory

Assigned Readings

Fundamentals of Stochastic Processes

Assigned Readings

Optional Readings

Analytical Solution of Stochastic Differential Equations

Optional Readings

Numerical Simulation of Stochastic Differential Equations

Assigned Readings

Optional Readings

Kolmogorov and Fokker-Planck Equations

Assigned Readings

Optional Readings

Stochastic Stability

Optional Readings

Stochastic Filtering and Parameter Estimation

Optional Readings

Monte Carlo Methods

Optional Readings

Stochastic Mode Reduction

Optional Readings